An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
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Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2023 The act of modeling and forecasting stock market volatility has become essential to risk management practice; it has become one of the most prevalent subjects in financial econometrics and has been mainly and continuously used in the valuation of ...
Santosh KUMAR +4 more
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Equilibrium bifurcation and extreme risk in the EU carbon futures market [PDF]
HeliyonConsidering the long-term memory and volatility clustering of the European Union (EU) Carbon Emission Allowances (EUA) futures returns, based on the economy–energy–environment system perspective and the assumption of investors' heterogeneity, this study ...
Junlong Mi +3 more
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Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model
East Asian Economic Review, 2011 This paper explores the issue of structural breaks and long memory property in the conditional variance process of the Korean exchange rates. To analyze the above in detail, this paper examines the dynamics of the structural breaks and the long memory in
Young Wook Han
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Quantification of the stock market value at risk by using FIAPARCH, HYGARCH and FIGARCH models
Data Science in Finance and Economics, 2023 The South African financial market is developing with periods of high and low volatility. Employing an adequate volatility model is essential to manage market risk.
Moses Khumalo +2 more
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Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns [PDF]
The Scientific World Journal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Melike Bildirici, Özgür Ersin
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Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
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Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the ...
Hossein Abbasinejad +1 more
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Modelling High-Frequency Volatility with Three-State FIGARCH Models [PDF]
SSRN Electronic Journal, 2013 Abstract Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH) models have enjoyed considerable popularity over the past decade because of their ability to capture the features of volatility clustering and long-memory persistence.
Shi, Yanlin, Ho, Kin-Yip
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Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
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